the esrb macroprudential measures database
TRANSCRIPT
IFC-National Bank of Belgium Workshop on "Data needs and Statistics compilation for macroprudential analysis"
Brussels, Belgium, 18-19 May 2017
The ESRB macroprudential measures database1 Urszula Kochanska,
European Systemic Risk Board Secretariat
1 This paper was prepared for the meeting. The views expressed are those of the author and do not necessarily reflect the views of the BIS, the IFC or the central banks and other institutions represented at the meeting.
The ESRB Macroprudential Measures Database 1
The ESRB Macroprudential Measures Database1
Urszula Kochanska2
Abstract
This paper describes the new European Systemic Risk Board (ESRB) database that contains information about the macroprudential measures applied by the authorities in the Member States of the European Union (EU) and in two countries3 of the European Economic Area. The database currently covers mainly measures related to the banking sector, namely: i) capital buffers i.e. the capital conservation buffer (CCoB), the countercyclical capital buffer (CCyB), the systemic risk buffer (SRB) and buffers for global/other systemically important institutions (G-SII and O-SII buffers respectively); ii) reciprocation (recognition) measures; and iii) other measures. Information on how the measures have been applied dates back to the early 2000s. However, the database focuses primarily on the period since 2014, when the Capital Requirements Directive IV4 and the Capital Requirements Regulation5 (CRD/CRR) came into force, setting a milestone in the development of a macroprudential policy framework in the EU. More recently the ESRB has increasingly devoted work on macroprudential policy beyond the banking sector6 and, in principle, the content of the database is expected to reflect this in future.
Keywords: Macroprudential measures, Macroprudential policy, Macroprudential indicators, European Systemic Risk Board
JEL classification: G210
1 The author would like to express her thanks to Frank Dierick and Tuomas Peltonen for their
comments on the paper. The work carried out by Romain Calleja and Daniel Karpati on developing and setting up the database is greatly appreciated. Thanks are also extended to Stéphanie Stolz and Anna Dobrzanska. The views expressed are those of the author and do not necessarily reflect the views of the European Systemic Risk Board or of the European Central Bank. The author would also like to thank the participants and organisers of the workshop at the Irving Fisher Committee on Central Banking Statistics and the Nationale Banque van België/Banque Nationale de Belgique, where the paper was presented.
2 Urszula Kochanska, Statistics Department, European Central Bank, Sonnemannstrasse 20, 60314 Frankfurt am Main, Germany; email: [email protected]
3 The two countries are Norway and Iceland, which are involved as non-voting members in the work of the ESRB following Decision No 198/2016 of the Joint Committee of the European Economic Area of 30 September 2016.
4 Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms (OJ L 176, 27.6.2013, p. 338).
5 Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).
6 See ESRB (2016), Macroprudential policy beyond banking: an ESRB strategy paper, July, available at https://www.esrb.europa.eu/pub/pdf/reports/20160718_strategy_paper_beyond_banking.en.pdf
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Contents
1. Introduction .......................................................................................................................................... 3
2. Main features of the ESRB Macroprudential Measures Database .................................. 4
2.1 Handling information ............................................................................................................ 4
2.2 Overview of the MPMDB ..................................................................................................... 6
2.3 Release of data on macroprudential measures .......................................................... 8
2.3.1. Overview of the CCyB on the ESRBʼs website and in the data extract . 8
2.3.2 Overview of measures beyond the CCyB.......................................................... 9
2.3.3 Overview of measures targeting specific banks .......................................... 10
3. Conclusion ........................................................................................................................................... 12
Annex ......................................................................................................................................................... 13
Abbreviations .......................................................................................................................................... 14
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1. Introduction
The global financial crisis highlighted the need for a macroprudential policy framework. Such a framework would equip the authorities responsible for overseeing the financial system with appropriate mandates, analytical tools and instruments to address systemic risk. In the EU, a number of important steps have been taken to address this issue. One such step was the establishment in 2010 of the European Systemic Risk Board (ESRB), which has responsibility for macroprudential oversight of the EU financial system. Since its establishment the ESRB has actively promoted the development of macroprudential policy frameworks. In 2011 it recommended that Member States should establish national macroprudential authorities7; and in 2013 it recommended that Member States should identify clear intermediate macroprudential objectives and assign concrete tools to achieve these objectives8.
The entry into force on 1 January 2014 of the new prudential rules for banks set out in the CRD/CRR was pivotal in the development of a macroprudential policy framework in the EU and the flow of information on the use of macroprudential tools. The new prudential rules provided Member States with a common legal framework and a set of macroprudential instruments to mitigate systemic risk in the banking sector. The CRD/CRR framework set in motion the requirement for macroprudential authorities (designated authorities, competent authorities and/or Member States) to notify the ESRB of macroprudential measures. Moreover, certain ESRB recommendations9 include additional notification requirements. These notification requirements have contributed to the collating of information and the setting-up of the Macroprudential Measures Database (MPMDB).
In March 2014 the ESRB published its Handbook on operationalising macroprudential policy in the banking sector10, which contributed to the further development of macroprudential policy and analytical framework in the EU. This Handbook is targeted at the macroprudential authorities and provides detailed instrument-specific advice on how to design and implement macroprudential policy for the banking sector. The Handbookʼs discussion of data largely forms the basis for the design of the MPMDB. The information in the MPMDB is used by the ESRB in several of its outputs, notably the yearly reviews of macroprudential policy in the EU11, 12, 13.
7 Recommendation of the European Systemic Risk Board of 22 December 2011 on the
macroprudential mandate of national authorities (ESRB/2011/3) (OJ C 41, 14.0.2012, p. 1).
8 Recommendation of the European Systemic Risk Board of 4 April 2013 on intermediate objectives and instruments of macroprudential policy (ESRB/2013/1) (OJ C 170, 15.6.2013, p. 1).
9 ESRB 2013/1, Recommendation of the European Systemic Risk Board of 11 December 2015 on recognising and setting countercyclical buffer rates for exposures to third countries (ESRB/2015/1) (OJ C 97, 12.3.2016, p. 1), and Recommendation of the European Systemic Risk Board of 15 December 2015 on the assessment of cross-border effects of and voluntary reciprocity for macroprudential policy measures (ESRB/2015/2) (OJ C 97, 12.3.2016, p. 9).
10 Available at https://www.esrb.europa.eu/pub/pdf/other/140303_esrb_handbook_mp.en.pdf
11 ESRB (2015), A review of macroprudential policy in the EU one year after the introduction of the CRD/CRR, June, available at https://www.esrb.europa.eu/pub/pdf/other/150625_review_macroprudential_policy_one_year_after_intro_crdcrr.en.pdf
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The objective of this paper is to contribute to the analytical availability of the up-to-date, comprehensive database and derived datasets on macroprudential instruments used in the EU and the European Economic Area (EAA).
2. Main features of the ESRB Macroprudential Measures Database
2.1 Handling information
The ESRB MPMDB was built14 with the aim of storing information on macroprudential measures and making this information available for analysis. The macroprudential measures are notified to the ESRB by the respective authorities in the EU in accordance with the notification requirements. Notifying authorities use the common ESRB/European Central Bank (ECB)/European Banking Authority (EBA) notification templates15, of which there are currently nine. The templates cover G-SIIs, O-SIIs, the SRB, the CCyB, risk weights, minimum loss given default (LGD), so-called national flexibility measures16, reciprocation measures, and other measures not covered by the CRD/CRR. All templates contain the following items of information:
• the name of the notifying national authority
• a description of the measure, including information on the institutions concerned, as identified by the name and legal entity identifier (LEI)
• the time frame of the measure
• the reason for activating the measure, including details on the methodology and indicators used
• the cross-border and cross-sectoral impact of the measure
• details of any other connected measures.
12 ESRB (2016), A Review of Macroprudential Policy in the EU in 2015, May, available at
https://www.esrb.europa.eu/pub/pdf/other/20160513_esrb_review_of_macroprudential_policy.en.pdf
13 ESRB (2017), A Review of Macroprudential Policy in the EU in 2016, April, available at http://www.esrb.europa.eu/pub/pdf/other/20170413_esrb_review_of_macroprudential_policy.en.pdf?c41913d3d8dcd6f87545cfc2efabea90
14 The contributions from R. Calleja and D. Karpati are greatly appreciated.
15 The notification templates are available at http://www.esrb.europa.eu/national_policy/html/index.en.html
16 “National flexibility measures” under Article 458 of the CRR are a set of measures allowing national authorities to impose stricter prudential requirements in order to address systemic risks. They include the level of own funds, large exposure limits, public disclosure requirements, the level of the CCoB, liquidity requirements, risk weights for the RRE and CRE, and measures for intra-financial sector exposures. These instruments may only be used if the national authority can establish that the measure is necessary, effective and proportionate and that other specified measures cannot adequately address the identified systemic risk. The instruments are subject to a notification and non-objection process. They include the level of own funds, large exposure limits, public disclosure requirements and the level of the capital conservation.
The ESRB Macroprudential Measures Database 5
Notifications submitted to the ESRB are stored on its internal document management system and published on its website. The relational MPMDB is populated with the information from the templates in accordance with an established data-recording and managing process. An exception to this is information on the CCyB, which is directly entered into a separate database schema by the reporting authorities using an online survey tool. Such an arrangement was put in place in the case of the CCyB, since it is the most frequently reassessed and notified measure (in principle, on a quarterly basis). The introduction in the near future of a survey programme for non-CCyB measures is currently under consideration.
The relational MPMDB comprises four main areas: i) notifications; ii) measures; iii) banks; and iv) measure levels (see the Annex for the relationship structure of the MPMDB tables). As at end-March 2017 there were 259 notifications recorded and 35 measure types covering 213 individual banking entities (either on a solo or consolidated basis). Collection of the data began in January 2015 and covers notifications received since 2014 and some older ones dating back to 2010.
The ESRB Secretariat is the owner of the dataset and carries out regular revisions and publications of the information derived from the MPMDB. The Secretariat is also responsible for analytical support to the ESRB committees17, and uses the MPMDB (also querying via a user-friendly interface (see Figure 1) to produce reports and notes18.
17 See the ESRBʼs organisational chart, available at
https://www.esrb.europa.eu/shared/pdf/Organisational-Chart.pdf?65c63facfb31dff9e723be9f668d93b9
18 See, for example, the reports and notes available at https://www.esrb.europa.eu/pub/html/index.en.html
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Figure 1. User interface of the MPMDB
Source: ESRB MPMDB.
2.2 Overview of the MPMDB
The ESRB has identified a number of macroprudential instruments to achieve its so-called intermediate objectives of financial stability19. The four intermediate objectives are preventing or mitigating systemic risks that may arise from the following sources:
1. excessive total/sectoral credit growth, which may be a key driver of financial crises, with leverage as the amplifying feature
2. excessive maturity mismatch with overreliance on short-term and unstable funding, which may lead to market illiquidity, fire sales and contagion
3. direct and indirect exposure concentrations that make a financial system vulnerable to common shocks
4. misaligned incentives, which arise from moral hazard and the negative effect of (implicit) government guarantees.
19 See Recommendation ESRB/2013/1.
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The following is a selection of the suite of macroprudential instruments used for addressing the intermediate objectives of financial stability20:
• for objective 1: total scope: the CCyB, the SRB, leverage ratio, increased CCoB and own funds requirement; sectoral scope: risk weights (RW), loss given default (LGD) floors, and limits for: loan-to-value (LTV), loan-to-income (LTI) or debt servicing-to-income (DSTI)
• for objective 2: liquidity charges, loan-to-deposit (LTD) limit, liquidity buffers, net stable funding ratio (NSFR) and other stable funding requirements
• for objective 3: the SRB, large exposures requirements, increased own funds requirement, measures for intra-financial sector exposures
• for objective 4: capital buffers for G-SIIs and O-SIIs, the SRB, increased CCoB, own funds requirements.
Macroprudential authorities have opted to use some of the measures from the suite of instruments21 (see Figure 2). The measures used have most frequently been directed at addressing excessive credit growth and limiting the systemic impact of misaligned incentives. The focus on these two intermediate objectives is a reflection of the many policy initiatives that concern lending to the real estate sector and systemically important institutions. Figure 2. Measures recorded in the MPMDB by type, country and year of initiative (as at April 2017, number of measures by type (left-hand panel) and by country (right-hand panel))
Source: ESRB MPMDB. Notes: “CRE” refers to commercial real estate, “RRE” to residential real estate, and “trans. CCyB” to transitional periods for CCyB. Art 124, Art 458 and Art 164 refer to those of CRR.
20 For details on the instruments and transmission channels, see footnote 10 above.
21 See footnotes 11, 12, 13.
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2.3 Release of data on macroprudential measures
A host of information and several datasets derived from the MPMDB are regularly made available on the ESRBʼs website, including information on:
1. the CCyB (dedicated webpage and dataset)
2. measures beyond the CCyB (dataset)
3. capital measures targeting specific banks (dataset).
2.3.1. Overview of the CCyB on the ESRBʼs website and in the data extract
A page dedicated to information on the CCyB is available on the ESRBʼs website22. This capital buffer is designed to mitigate procyclicality in the financial system and is assessed on a quarterly basis. As the most frequently assessed measure, the related notification flow is automated via an online survey tool (see Section 2.1 above), which feeds the database that in turns populates the website. All EU Member States as well as Iceland and Norway23 report into the database. The ESRB has also developed a set of principles and guidelines on activating and calibrating the CCyB24.
With regard to the published dataset, historical data on how the authorities in Europe have set the CCyB can be retrieved from a dedicated file. This file contains details on the CCyB rates, the timing of the decisions and the dates of application. It also contains links to relevant press releases or other publicly available information, with explanatory notes and background analyses. Finally, any new items of information are flagged, as and when they become available, for the benefit of users.
The MPMDB contains a broader set of data than the above-mentioned file. The macroprudential authorities report on the leading indicator – the credit-to-GDP gap (credit gap) – and also on additional indicators25 and the powers exercised following the principles of guided discretion in setting the CCyB. In particular, the authorities provide additional information on the credit-to-GDP ratio, buffer guide26, and any justifications, elaborating on exceptional circumstances.
22 See the relevant page on the ESRBʼs website
(https://www.esrb.europa.eu/national_policy/ccb/applicable/html/index.en.html).
23 Reporting from Liechtenstein is forthcoming.
24 See the relevant page on the ESRBʼs website (https://www.esrb.europa.eu/news/pr/date/2014/html/pr140630.en.html).
25 See ESRB (2016), “Implementation of the countercyclical capital buffer regime in the European Union”, Macroprudential Commentaries, Issue 8, December, available at https://www.esrb.europa.eu/pub/pdf/commentaries/ESRB_commentary_1612.en.pdf?e68d4dbc5f50fc80032371dc28bcf34b
26 For definitions and more information, see the sections entitled “Recommendation B” and “Implementation of the ESRB Recommendation ESRB/2014/1”. “Buffer guide” means a benchmark buffer rate, selected in accordance with recommendation B(4); “additional credit-to-GDP gap” means a credit-to-GDP gap measured and calculated in accordance with Recommendation B(2).
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2.3.2 Overview of measures beyond the CCyB
Information on the overview of the macroprudential measures beyond the CCyB is extracted on a monthly basis from the MPMDB and posted in the Overview of national macroprudential measures file, on the ESRBʼs website27. The following information is provided about such measures:
• geographical specifications (region, country, authority)
• timing and communication strategy (year that the macroprudential measure was initiated, dates of publication and notification, time frame for the measure, links to the communication materials)
• targeted intermediate objective of financial stability
• legal basis
• status of the measure (information about revocation or replacement)
• description of the measure, including links to relevant public information
• reciprocation28, including ESRB recommended reciprocation.
The measures covered in the file can be grouped as follows:
1. capital buffers
2. reciprocation measures
3. other measures.
With regard to the capital buffers, the CRD equips the macroprudential authorities with several buffers which form part of the combined capital buffer requirement. More specifically, the combined buffer requirement means the total common equity tier 1 (CET1) capital needed to meet the requirement for the CCoB and, if applicable, the CCyB, the G-SII buffer, the O-SII buffer and the SRB. The CRD/CRR capital buffer framework was implemented on 1 January 2014, with derogations in place until 1 January 2016 and a phasing-in period lasting until 2019.
The CCoB is required for a bank to meet its own funds requirements29. The CCyB is designed to mitigate procyclicality in the financial system and to build a capital buffer during periods of excessive credit growth, which is then released when a systemic risk abates. The SRB targets structural systemic risks of a long-term non-cyclical nature. The SRB can be used to prevent or mitigate long-term non-cyclical systemic or macroprudential risk not covered by the CRR. Buffers for G-SIIs and O-SIIs address banks that, from an international and domestic perspective, are considered too big to fail.
Information on all additional capital buffers is extracted from the MPMDB and made available in the Overview of national macroprudential measures file. In particular, the file provides useful information on the buffers’ features, namely:
• for the CCoB: transitory buffer rates, if applicable; coverage (system-wide, bank-specific, group of banks that fulfil certain criteria); consolidation
27 Available at https://www.esrb.europa.eu/national_policy/html/index.en.html
28 For further details, see the following section of this paper.
29 See Article 92 of the CRR.
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scope; and exceptions for small and medium-sized investment firms from the requirements
• for the SRB: buffer rates; coverage; consolidation scope; type of exposures; and any other condition for applying the measure
• for the O-SII and G-SII buffers: designated banks with corresponding buffer rates; and phasing-in, if applicable.
Building a more resilient banking system in the EU requires authorities to recognise30 macroprudential measures set by other Member States and to set or recognise the CCyB rates for so-called third countries31. Information on such reciprocation framework, which is essential to the effectiveness of the macroprudential measures, is recorded in the MPMDB.
Information on reciprocation or non-reciprocation is contained in the Overview of national macroprudential measures file as are the cross-links between the measures in the so-called matrix of reciprocation.
Macroprudential authorities have several other measures at their disposal. Among the most prominently used are measures targeting real estate lending, as developments in this area continue to be high on the agenda of macroprudential policymakers in Europe. A variety of such measures were applied at the national level and introduced into the MPMDB with details on their modalities.
Key features of such measures covering DSTI, LTI, payments-to-income (PTI), LTV, LTD, loan amortisation, risk weights, LGD floors, maturity restrictions, leverage ratio, liquidity ratio, stress tests of lender or borrower and amortisation requirement are included in the Overview of national macroprudential measures file. Further details of the measures are available in the Review of macroprudential policy in Europe in 2016 (for example, in Tables 1-3)32.
The authorities also used Pillar 2 additional own funds requirements to address systemic risks related to specific banks. These additional own funds requirements can be used as an “add-on” to the other buffers.
2.3.3 Overview of measures targeting specific banks
Macroprudential authorities are responsible for setting measures targeting specific banks and deciding on the modalities of these measures. Information on such bank-specific capital buffer requirements is collected in the MPMDB and a subset is made public on the ESRBʼs website33.
When analysing capital buffer requirements, it is important to consider general conditions for combining capital buffers (additivity versus a “higher of” approach), rules on combinations arising from the application of capital buffers on different
30 See Recommendation ESRB/2015/2.
31 See Recommendation ESRB/2015/1.
32 See footnote 13 above.
33 See Overview of national capital-based measures, available at https://www.esrb.europa.eu/national_policy/html/index.en.html
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levels of consolidation (parent versus subsidiary) and principles that apply when transitional periods do not coincide.
The main feature of the CCoB is that it consists of an additional CET1 capital fixed at 2.5% of a bankʼs total risk exposure on an individual or consolidated basis, which effectively serves as a minimum capital requirement. Phasing-in over time has been available with rates of 0.625%, 1.25%, and 1.875% in 2016, 2017 and 2018 respectively.
In the case of the CCyB, the rate is set at between 0% and 2.5% of total risk exposure but may also be set higher if justified by the underlying risk. The institution-specific CCyB rate consists of the weighted average of the CCyB rates that apply in the jurisdictions where the relevant credit exposures of the institution are located. This buffer should be assessed on a quarterly basis.
The SRB rates can vary depending on banks’ contribution to the specific structural systemic risk and geographical location of their exposures. The measure should be reviewed at least every other year and there is no maximum buffer limit. Furthermore, in practice the measure is often linked to the O-SII buffer, as some countries use the SRB as an alternative or as a supplement to the O-SII buffer.
With regard to the SIIs, which are designated in accordance with a prescribed methodology34 and supervisory judgement, the G-SII buffer rate varies within five categories of SIIs with a starting rate of 1% increasing in increments of 0.5% up to 3.5%. For the O-SIIs, the authorities may require a buffer of up to 2%. Phasing-in of the buffers is possible, as the authorities could move the application date from 1 January 2014 to 1 January 2016, with reductions to 25%, 50% and 75% of the buffer rate in 2016, 2017 and 2018 respectively.
Granular information on the banks that are subject to the bank-specific measures of macroprudential authorities is available in the MPMDB. In particular, the identification of entities with LEIs enables information about the measures to be combined with bank-level and other data, as well as with the information on other macroprudential measures. Finally, it should be cautioned that focusing on the macroprudential measures the MPMDB does not contain information on the capital requirements resulting from the Supervisory Review and Evaluation Process (SREP) and Pillar 2 measures35.
34 Further information is available on the website of the European Banking Authority (EBA), at
http://www.eba.europa.eu/risk-analysis-and-data/global-systemically-important-institutions. See also the EBA methodology for O-SIIs, available at http://www.eba.europa.eu/risk-analysis-and-data/other-systemically-important-institutions-o-siis-
35 Further information on the SREP and Pillar 2 is available at https://www.bankingsupervision.europa.eu/about/ssmexplained/html/srep.en.html
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3. Conclusion
The ESRB MPMDB is a comprehensive and up-to-date database designed to store information on macroprudential measures in Europe and make that information available for analysis. The content of the database is based on the information provided by the macroprudential authorities to the ESRB in line with the notification requirements. The information in the database is used in several ESRB analyses and reports and is made available on the ESRBʼs website, where three data extracts are provided and updated on a regular basis. The standardised data extracts cover the CCyB, measures beyond the CCyB and bank-specific capital measures. The database constitutes a unique source of information for macroprudential policy. To promote analytical work and transparency in this area, further inclusion of information on non-banking sector measures and data releases are anticipated as is a deepening of the cross-country analysis of how measures are used.
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Annex Figure 3. Relationship structure of the MPMDB tables
Source: ESRB MPMDB.
14 The ESRB Macroprudential Measures Database
Abbreviations CCoB capital conservation buffer CCyB countercyclical capital buffer CET1 common equity tier 1 CRD IV Capital Requirements Directive CRE commercial real estate CRR Capital Requirements Regulation DSTI debt service-to-income DTI debt-to-income EBA European Banking Authority ECB European Central Bank ESRB European Systemic Risk Board EU European Union GDP gross domestic product G-SII global systemically important institution LEI legal entity identifier LGD loss given default LTD loan-to-deposit LTI loan-to-income LTV loan-to-value MPMDB Macroprudential Measures Database NSFR net stable funding ratio O-SII other systemically important institution PTI payment-to-income RRE residential real estate RW risk weight RWA risk-weighted assets SRB systemic risk buffer SREP Supervisory Review and Evaluation Process
IFC-National Bank of Belgium Workshop on "Data needs and Statistics compilation for macroprudential analysis"
Brussels, Belgium, 18-19 May 2017
The ESRB macroprudential measures database1 Urszula Kochanska,
European Systemic Risk Board Secretariat
1 This presentation was prepared for the meeting. The views expressed are those of the author and do not necessarily reflect the views of the BIS, the IFC or the central banks and other institutions represented at the meeting.
Contact Group on DataFrankfurt, 11 September
1
Urszula Kochanska
The ESRB Macroprudential Measures Database (MPMDB) and indicators of the usage of macroprudential instruments – paper
Urszula Kochanska, Statistics Department, European Central Bank, Sonnemannstrasse 20, 60314 Frankfurt am Main, Germany; email: [email protected]
Disclaimer: This presentation should not be reported as representing the views of the European Systemic Risk Board (ESRB) or European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ESRB or ECB.
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i) Macroprudential policy framework and the ESRB
ii) Entering into force 1 Jan 2014 of the prudential rules for the banks in the Capital Requirement Directive (CRD IV) and Capital Requirements Regulation (CRR)
iii) envisaged notification requirements
iv) information flow about the use of the macroprudential tools
v) data collection which conduced to the set up of the Macroprudential Measures Database (MPMDB)
vi) ESRB Handbook on operationalising macroprudential policy in banking sector- a base for the design of the MPMDB
vii) Information from the MPMDB used in several ESRB outputs, notably in two yearly reports:
Reviews of Macroprudential Policy in the EU in 2015 and 2016
Introduction
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1) to develop, make available and increase the analytical availability of the database and derived datasets on macroprudential instruments in Europe with its comprehensive and consistent coverage (initiatives
of the competent authorities in the European Union and in the European Economic Area)
and timeliness
2) to add to the research on the development of the indicators that gauge the use of macro-prudential tools
Motivation behind the paper
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1. Main features of the ESRB Macroprudential Measures (MPMDB) databaseA. Handling of informationB. Overview of macroprudential measures in the MPMDBC. Release of data on macroprudential measures
a. Webpage and data dedicated to the CCyBb. Overview of the measures beyond the CCyBc. Overview of bank specific measures
2. Indicators based on MPMDBComposite of Secondary Indicators Guiding the CCyB (CSIG)
Content of the presentation
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1. Main features of the ESRB Macroprudential Measures (MPMDB) database
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MPMDB
A. Handling the information
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Macroprudential Authorities in Europe
Templated notifications
ESRB SecretariatDocument managing system
www
CCyB
Measures beyond CCyB
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? …
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B. Overview of measures
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Measures recorded in the MPMDB by year of initiative and country(Number of measures by type (left panel) and by country (right panel))
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Source: ESRB MPMDB.
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a) The webpage and data dedicated to the CCyBb) The overview of measures beyond the CCyBc) The overview of bank capital measures
C. Release of data on macroprudential measures
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MPMDB
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a) The webpage and data dedicated to the CCyB
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- buffer rates- timing- links
MPMDB
Additional data: - Credit-to-GDP- buffer guide- justification
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Information provided: Geographical specifications (region, country, authority) Timing and communication strategy (year of initiative, dates of publishing and
notifying, timeframe for the measure, links to the communication materials) Targeted intermediate objective of financial stability Legal basis, information about revocation or replacement, status of the
measure Description of the measure Reciprocation including ESRB recommended reciprocation Notes
b) Overview of measures beyond CCyB
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Measures covered: Capital buffers (CCoB, G-SIIs, O-SIIs, SRB) Reciprocation Other measures (real estate related e.g DSTI, LTV, risk weights etc, and others)
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Entity identification by LEIin MPMDB enables integration between various datasets
important to consider the conditions on combinationsof the individual types of capital buffers depending on the consolidation scope, exposures coverage, timeframes of application
c) Overview of bank specific measures
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IFC workshop 17-18 May 2018
Contact Group on DataFrankfurt, 11 September
2. Indicators based on MPMDB
12WG Heatmap and Dashboard
16 March 2017
IFC workshop 17-18 May 2018
Contact Group on DataFrankfurt, 11 September
Composite of Secondary Indicators Guiding the CCyB(CSIG) (work in progress)
13WG Heatmap and Dashboard
16 March 2017
measure the build-up of systemic risk build on the set of complementary indicators
recommended by the ESRB categories 1) property prices, 2) credit growth, 3)
external imbalances, 4) strength of bank balance sheets 5) private sector debt burden, 6) mispricing of risks.
indicators homogenised and transformed based on their empirical cumulative distribution function (CDF) involving order statistics
transformed indicators can be interpreted as probabilities of systemic risk being build-up
they are aggregated into country specific as well as the overall for the EU
further testing of the indicator needed
IFC workshop 17-18 May 2018
Contact Group on DataFrankfurt, 11 September
Thank you for your attention!
14WG Heatmap and Dashboard
16 March 2017
IFC workshop 17-18 May 2018